博碩士論文 92428022 詳細資訊




以作者查詢圖書館館藏 以作者查詢臺灣博碩士 以作者查詢全國書目 勘誤回報 、線上人數:35 、訪客IP:3.133.109.58
姓名 陳尚群(Shang-Chiun Chen)  查詢紙本館藏   畢業系所 財務金融學系
論文名稱 利率上限及交換選擇權之定價-多因子市場利率模型
(Prices of Caps and Swaptions under Multi-Factor LIBOR Market Models)
相關論文
★ 市場利率模型對區間型計息債券之定價及分析★ 標的物相關係數對合成式債務抵押債券及一籃子違約交換訂價的影響
★ 擔保債務憑證市場價格隱含之相關係數結構★ 保險公司資產配置準則之分析
★ 鞍點近似法於擔保債權憑證之評價與避險★ 避險基金資產配置分析應用極值理論
★ 抵押房貸證劵化之評價★ 外匯市場的遠期與期貨價格差異:逐日結算效果的探討
★ 市場利率模型下利率上限契約的評價與避險★ 雙層擔保債務憑證評價與敏感性分析
★ 合成式擔保債務憑證內非標準型分劵之定價與避險★ 應用蒙地卡羅法對HJM 模型下的利率衍生性商品定價
★ 固定比例投資組合保險策略在合成型擔保債權憑證權益分券之適用性★ 應用隨機跳躍模型評價死亡率商品
★ 修改Hull-White模型評價固定期間信用違約交換與信用違約交換選擇權★ 權益違約交換之評價
檔案 [Endnote RIS 格式]    [Bibtex 格式]    [相關文章]   [文章引用]   [完整記錄]   [館藏目錄]   [檢視]  [下載]
  1. 本電子論文使用權限為同意立即開放。
  2. 已達開放權限電子全文僅授權使用者為學術研究之目的,進行個人非營利性質之檢索、閱讀、列印。
  3. 請遵守中華民國著作權法之相關規定,切勿任意重製、散佈、改作、轉貼、播送,以免觸法。

摘要(中) 本篇論文中,結論顯示在波動性為時間齊次或是常態的假設下,以三因子模型去評價利率上限,其定價較為精準,但是以單因子及二因子模型來評價,則表現普遍不佳;若是以三因子模型去評價交換選擇權,在選擇權到期年限為兩年或是三年的情況下,其定價比單因子及二因子模型精準,但是在選擇權到期年限為七年的情況下,並不保證三因子模型定價比單因子及二因子模型精準。此外也發現市場模型中的波動性參數如果採用時間齊次性假設,則定價表現較佳。這是個很重要的結果,因為在文獻上,大部分的學者總是採用Rebonato (1998)所建議的參數化波動性假設來評價利率衍生性商品,然而本文卻發現此種假設的定價表現不佳。
摘要(英) In this paper, we find that for caps, when we assume volatilities are time-homogeneous or flat, 3-factor model is better than 1- and 2-factor model. For swaptions, no matter how many years expiration is, if the tenor is shorter (2 or 3 year), the pricing performance in the 3-factor mode is better than others. But if the tenor is longer (7 year), the pricing performance of the 3-factor model is not guaranteed to be better than that of other models. If we use time-homogeneous volatilities to evaluate caps or swaptions, pricing performance is very well in most situations. We have to notice this result. Because in the literatures, most of researchers always use parametric instantaneous volatilities (case 3) that are suggested by Rebonato (1998) to evaluate interest rate derivatives. However, we show in this paper that the pricing performance under a parametric instantaneous volatilities assumption might be not very satisfactory.
關鍵字(中) ★ 交換選擇權
★ 定價
★ 校準
★ 蒙地卡羅模擬
★ 利率上限
★ 波動性結構
★ 利率市場模型
關鍵字(英) ★ Calibration
★ Monte Carlo Simulation
★ Pricing
★ Swaption
★ Cap
★ Volatility Structure
★ LIBOR Market Model
論文目次 1. Introduction 1
2. Caps and Swaptions 4
2.1. Caps 4
2.1.1. The Definition 4
2.1.2. The Market Price for Caps 4
2.2. Swaptions 5
2.2.1. The Definition 5
2.2.2. The Market Price for Swaptions 6
3. Data Descriptions 7
4. The Model 9
4.1. General Setup of the LIBOR Market Model 9
4.2. Calibrating the LIBOR Market Model 10
4.2.1. The Instantaneous Volatility Function 11
4.2.2. The Instantaneous Correlation Function 13
4.3. Monte Carlo Simulation 16
4.4. Pricing of Vanilla Instruments 17
4.4.1. Pricing Caps under the LIBOR Market Model 17
4.4.2. Pricing Swaptions under the LIBOR Market Model 18
5. Empirical Results 19
5.1. Initial Inputs 19
5.2. Term Structures of Piecewise-Constant Instantaneous Volatilities 19
5.2.1. Case 1: Time-Homogeneous Instantaneous Volatility 19
5.2.2. Case 2: Constant Instantaneous Volatility 20
5.2.3. Case 3: Parametric Instantaneous Volatility 20
5.3. The Instantaneous Correlation Matrix 21
5.4. The Valuation of Caps and Swaptions 22
5.4.1. How Many Factors? 22
5.4.2. What Kind of Volatilities? 23
6. Conclusions 24
Reference 43
Appendix 46
參考文獻 Amin, K., and Morton, A. (1994), “Implied Volatility Functions in Arbitrage Free Term Structure Models,” Journal of Financial Economics, 35, 141-180.
Bühler, W., Uhrig-Homburg, M., Walter, U., Weber, T. (1999), “An Empirical Comparison of Forward-Rate and Spot-Rate Models for Valuing Interest-Rate Options,” Journal of Finance, 54, 269-305.
Björk, T. (1998), Arbitrage Theory in Continuous Time, Oxford University Press.
Black, F. (1976), “The Pricing of Commodity Contracts,” Journal of Financial Economics, 3, 167-179.
Brace, A., Dun, T., and Barton, G. (1998), “Towards a Central Interest Rate Model,” FMMA notes working paper.
Brace, A., Gatarek D., Musiela, M. (1997), “The Market Model of Interest Rate Dynamics,” Mathematical Finance, 7, 127-155.
Brigo and Mercurio (2001), Interest Rate Models - Theory and Practice, Springer.
Chen, Ren-Raw and Louis O. Scott (1993), “Maximum Likelihood Estimation for a Multifactor Equilibrium Model of the Term Structure of Interest Rates,” Journal of Fixed Income, 3, 14-31.
De Jong, F., Driessen, J., and Pelsser, A. (1999), “LIBOR and Swap Market Models for the Pricing of Interest Rate Derivatives: An Empirical Analysis,” Preprint.
Driessen, J., P. Klaassen, and B. Melenberg (2003), “The Performance of Multi-Factor Term Structure Models for Pricing and Hedging Caps and Swaptions,” Journal of Financial and Quantitative Analysis, 38, 635-672.
Fan, R., A. Gupta, and P. Ritchken (2001), “On Pricing and Hedging in the Swaption Market: How Many Factors, Really?”, working paper, Case Western Reserve University.
Gupta, A., and M. Subrahmanyam (2001), “An Examination of the Static and Dynamic Performance of Interest Rate Option Pricing Models in the Dollar Cap-Floor Markets,” working paper, New York University.
Hull, John C. (2003), Option, Futures, and Other Derivatives, 5th ed., Upper Saddle River, New Jersey: Prentice-Hall.
Jagannathan, R., A. Kaplin, and S. Sun (2001), “An Evaluation of Multi-Factor CIR Models Using LIBOR, Swap Rates, and Cap and Swaption Prices,” working paper, Northwestern University.
Jamshidian, F. (1997), “LIBOR and Swap Market Models and Measures,” Finance and Stochastics, 1, 293-330.
Jäckel , Peter (2002), Monte-Carlo Methods in Finance, John Wiley & Sons.
Jegadeesh N., and G. Pennacchi (1996), “The Behavior of Interest Rates Implied by the Term Structure of Eurodollar Futures,” Journal of Money, Credit, and Banking, 28, 426-446.
Longstaff, F., P. Santa-Clara, and E. Schwartz (2001), “The Relative Valuation of Caps and Swaptions: Theory and Empirical Evidence,” Journal of Finance, 56, 2067-2109.
Miltersen, K.R., Sandmann K., Sondermann D. (1997), “Closed Form Solutions for Term Structure Derivatives with Log-Normal Interest Rates,” Journal of Finance, 52, 409-430.
Musiela, M., and Rutkowski, M. (1997), “Continuous-Time Term Structure Models: Forward Measure Approach,” Finance and Stochastics, 4, 261-292.
Pelsser, A. (2000), Efficient Methods for Valuing Interest Rate Derivatives, Springer, Heidelberg.
Peterson, S., R. Stapleton, and M. Subrahmanyam (2001), “The Valuation of Caps, Floors and Swaptions in a Multi-Factor Spot-Rate Model,” working paper, Stern School of Business, New York University.
Rebonato, R. (1999), “On the Simultaneous Calibration of Multifactor Lognormal Interest Rate Models to Black Volatilities and to the Correlation Matrix,” Journal of Computational Finance, 4, 5-27.
Riccardo Rebonato (2002), Modern Pricing of Interest-Rate Derivatives - The LIBOR Market Model and Beyond, Princeton University Press.
指導教授 岳夢蘭(Meng-Lan Yueh) 審核日期 2005-6-26
推文 facebook   plurk   twitter   funp   google   live   udn   HD   myshare   reddit   netvibes   friend   youpush   delicious   baidu   
網路書籤 Google bookmarks   del.icio.us   hemidemi   myshare   

若有論文相關問題,請聯絡國立中央大學圖書館推廣服務組 TEL:(03)422-7151轉57407,或E-mail聯絡  - 隱私權政策聲明